Recently I was writing some code that required the quantile function of the chi-squared distribution. There is a function in ccipy that implements this function, however, calling a python function from cython is slow. The scipy implementation calls a function in the cephes library. Unfortunately, scipy compiles the cephes library code directly into the corresponding scipy functions, so I had to build my own version of cephes. Once I had done this I went ahead and called the cephes function from some cython code only to be plagued with numerical errors. This was strange because the R implementation of the chi-squared quantile function would yield non-zero results when the cephes function would return zero.

This experience led me to wrap the Rmath library with cython to make the functions available to cython code. You need to build the Rmath library for standalone use first (having R on your system is not enough), but then you will be able to use nice R functions for your distributional needs.

See the project page for more information and examples.